Abstract
Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.
| Original language | English |
|---|---|
| Pages (from-to) | 335-341 |
| Number of pages | 7 |
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 21 |
| Issue number | 3 |
| DOIs | |
| State | Published - 1986 |
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All Science Journal Classification (ASJC) codes
- Finance
- Accounting
- Economics and Econometrics
Cite this
Skewness Persistence in Common Stock Returns. / Singleton, J. Clay; Wingender, John R.
In: Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, 1986, p. 335-341.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Skewness Persistence in Common Stock Returns
AU - Singleton, J. Clay
AU - Wingender, John R.
PY - 1986
Y1 - 1986
N2 - Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.
AB - Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.
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UR - http://www.scopus.com/inward/citedby.url?scp=84974269804&partnerID=8YFLogxK
U2 - 10.2307/2331046
DO - 10.2307/2331046
M3 - Article
VL - 21
SP - 335
EP - 341
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
SN - 0022-1090
IS - 3
ER -